IDEAS home Printed from https://ideas.repec.org/a/ect/emjrnl/v9y2006i2p196-224.html
   My bibliography  Save this article

Joint hypothesis specification for unit root tests with a structural break *

Author

Listed:
  • Josep Lluís Carrion-i-Silvestre
  • Andreu Sansó

Abstract

Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is not allowed under the null hypothesis, and where it is allowed. Simulations investigate the performance of this proposal compared to the existing tests and show important gains in terms of power. Copyright Royal Economic Society 2006

Suggested Citation

  • Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2006. "Joint hypothesis specification for unit root tests with a structural break *," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 196-224, July.
    • Handle: RePEc:ect:emjrnl:v:9:y:2006:i:2:p:196-224
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Costantini, Mauro & Sen, Amit, 2016. "A simple testing procedure for unit root and model specification," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 37-54.
    2. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    3. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
    4. Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel, 2011. "Testing for a Deterministic Trend When There is Evidence of Unit Root," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-26, January.
    5. Hassan B. Ghassan & Stefano Fachin, 2016. "Time series analysis of financial stability of banks: Evidence from Saudi Arabia," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 3-17, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:9:y:2006:i:2:p:196-224. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.